The aim of this study is to examine a relation of covert narcissism to depression and self-efficacy of adolescents. Out of 450 second and third grade high school students participated in a questionnaire in Jeollanam-do and Gwangju Metropolitan City, 425 students were subjected to the study excluding 25 respondents who left many questions unanswered or lacked in sincerity. The research tasks for analysis were as follows: first, to examine a relation of the covert narcissism to depression and self-efficacy of adolescents; second, to identify a factor with the highest explainability for depression and self-efficacy of adolescents among sub-factors of the covert narcissism; third, to identify differences in depression and self-efficacy between two groups whose covert narcissism was high and low. To achieve such goals of the research tasks analysis were applied with the statistic program SPSS 14.0. The results of the study are as follows. First, there was a significant positive correlation between covert narcissism and depression and a significant negative correlation between covert narcissism and self-efficacy. Second, among sub-factors of the covert narcissism, depression manifested itself in insecurity in goals, over-sensitivity/weakness, and exploitation/egocentricity. Moreover a general self-efficacy manifested itself in insecurity in goals, desire for recognition/grandiose self-fantasy, exploitation/egocentricity, and timidity/lack of self-confidence. A social self-efficacy manifested itself in desire for recognition/grandiose self-fantasy and timidity/lack of self-confidence. Third, the higher one's covert narcissism was, the lower self-efficacy appeared and the higher depression appeared.